I think Internet Explorer gets a bad rap. I've used Firefox and it certainly has its issues like j_garcia mentioned. If you know how to use IE well, then Firefox has no real advantages other than maybe personal preferences, like the tabbing of the pages.
Firefox is having its own security problems, and as it gets more popular you will see just how unsecure this browser is as well. Of course IE will get hacked because it is the most popular by far. If any other browser gets near IE for popularity, then it will be open season on them as well.
Setting up a good firewall and taking other precautions will go a long way for your computer's security - but I'm sure we all knew that already